IB - data generation process

Discussion in 'Data Sets and Feeds' started by kiwi_trader, Jul 21, 2006.

  1. fader


    #11     Jul 21, 2006
  2. Aok


    CQG and Bloomberg.

    The rest are just conversation for "accurate" data.

    I dont see how this is relevant unless you are sub 1 minute charts, ie tick scalper.

    Then, yes, IB will miss some high/lows. But when your friends Esig feed slows down on Bernake days, it's moot. And IB data is superior to Esig for Dax, and Hang Seng. By far.
    #12     Jul 21, 2006
  3. Thanks guys. I feel much better informed. IB, if anything has changed please feel free to expand on the improvement.
    #13     Jul 21, 2006
  4. Does anyone know how serious "the delayed and missing ticks" problems are?

    This worries me too. :(
    #14     Jul 24, 2006
  5. Hoi


    Read the whole thread again, Please!..there is no "delay" at all ...(snapshot never delays).
    #15     Jul 24, 2006
  6. If I understand correctly, it takes snapshot every 0.25-0.3 seconds

    The delay is here.

    What's more, it just pass the change of last price (C). It misses the high and low.

    I'm not sure how this will affect a daytrader's performance with delayed and missing data.

    I would like to hear others advice on that.
    #16     Jul 24, 2006
  7. Hoi


    That's no delay..it is the current presentation. >> each 0.25 secs you receive a quote that is current.

    With streaming-vendors you can speak of delay: then you receive a quote that might be a presentation of 10 seconds ago...which is very normal with eSignal, when there is a news release...then all the quotes in the FIFO-buffer will be transported to you delayed, while a snapshot-provider like IB gives you the current situation, even during a news release..

    I do not know what you need as trader, but I want to launch my trade on the current presentation (max .25 secs ago), than enter my trade based on a 10 second ago presentation of a streaming-provider.

    I agree about misssing ticks (for highs and lows), as you can read in my previous posts..but never agree to the "delay" part of your comment.
    #17     Jul 24, 2006
  8. Sorry for the confusion.

    What I say is since it takes a snapshot every 0.25-0.3 seconds, it doesn't reflect when the change occurs between each interval.
    Eg: after the snapshot, when the change happens at 0.1 second, we have to 0.15-0.2 second more before we know the change.
    I realise the delay is small, but that's the delay I'm talking about. Am I right about it?

    I think this small delay shouldn't matter much, but the inaccurate part worries me. I'm not sure how inaccurate it will be in this approach. Will this affect my accuracy of my decisions? I would like to hear others advice.

    I do appreciate if it can remain perfectly stable during a news release (still refresh after 0.25-0.3 seconds). How does IB perform during this period?

    I heard enough bad news about E-signal. :(
    #18     Jul 25, 2006
  9. kjsnow25


    how do you all plan to use this type of data in an Reg NMS trade through scenario? Effectively, if you're looking for NBBO, how do you plan on this method of data dissemination to be useful if not detrimental to your trading??

    Don't slander away, it's a great question to think about....
    #19     Jul 25, 2006
  10. ddunbar

    ddunbar Guest

    Again, that's not a delay in any sense. It's a snapshot. Think of it in terms of a digital movie camera. It takes pictures 30 frames every second. Does your eye notice the missing frames? Movements seem fluid enough don't they?

    Well, your connection (ping time) to any broker will be in the 100ms range round trip. Unless you're using a fractional T1 or higher direct to the brokerage. This is where a delay comes in. There is no trading strategy except arbitage that would be affected in the least by a 3/10's of a second snapshot. Markets don't move that fast anyway. At most, 1 tick maybe even 2. But usually, no tick. :)

    Yes and no. The inaccuracy of high and low
    is usually a few ticks. However, IB transmits the high and low from the exchange seperately. For instance, a week or two ago, the S&P emini futures high was off by 3 ticks - 3 ticks to low on their 30 min chart. Yet, in TWS, the high was reported accurately. I double checked with CME. So simple deduction was that the true high occured during the 30 min time frame whose high was 3 ticks off.

    It's not going to get much worse than that - 3 to 4 ticks off. And it's not as if it happens everyday. Will this affect trading? Doubtful, unless one is looking to scalp day's range extremes. Or if they're scalping off 1 min or tick charts towards the high and/or low of the day.

    Next question is, are intraday high and lows, that are not new daily high and/or lows off? Haven't seen it. They seem to only happen at day's high and lows.

    They perform well because of their chosen method of dissemination. The snap shot method, as mentioned, doesn't "bog" down with information like streaming every single message event.
    #20     Jul 25, 2006